Conrad, Christian; Engle, Robert F. - 2021
We propose a multiplicative factor multi frequency component GARCH model which exploits the empirical fact that the … daily standardized forecast errors of one-component GARCH models behave counter-cyclical when averaged at a lower frequency …-step-ahead volatility forecasts. When applied to the S&P 500, the new component model significantly outperforms the nested one-component GJR-GARCH …